Morgan Stanley plans leveraged CMS curve notes linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Sept. 10 – Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve securities due Sept. 30, 2030 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first four years. After that, it will be (a) five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which each index closes at or above its index reference level, 70% of its initial level, subject to a maximum rate of 10% per year. Interest will be payable monthly and cannot be less than zero.

If each index finishes at or above its barrier level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will settle Sept. 30.

The Cusip number is 61760QHP2.

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